Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0074
Annualized Std Dev 0.2261
Annualized Sharpe (Rf=0%) -0.0329

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1958
Quartile 1 -0.0050
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.2360
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0142
Skewness -0.0031
Kurtosis 48.4016

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0116
Loss Deviation 0.0124
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.7317
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0327
Modified VaR (95%) -0.0095
Modified ES (95%) -0.0095
From Trough To Depth Length To Trough Recovery
2002-08-26 2009-03-09 NA -0.7317 4674 1644 NA
1999-07-12 2000-05-11 2001-07-25 -0.1757 516 213 303
2001-08-23 2001-09-24 2002-01-31 -0.0931 107 18 89
2002-06-17 2002-06-21 2002-08-23 -0.0725 49 5 44
2002-02-11 2002-02-27 2002-06-10 -0.0640 83 12 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.5 1 0 0.5 -0.9 0.5 -0.5 -1 -1 -1.1 1.6 -1.4
2000 0 -1.1 1.5 -0.5 0.5 -1 1 0.5 -0.5 -0.3 -0.5 1 0.7
2001 1 -0.2 0.4 0 0.1 0 0.3 -1.2 -0.4 -1.4 -0.7 1.1 -1
2002 -0.6 2.8 0 0.9 -0.3 0.8 -0.3 -0.7 0 1.7 0 1.5 5.8
2003 -0.3 -1 -0.4 0.4 1.2 1.7 -0.7 1.5 -1.9 1.1 0.3 0.6 2.4
2004 0.2 -0.7 1.6 -0.8 1.3 -1.2 0.2 -0.8 -0.5 0 -0.1 0.2 -0.8
2005 0 -0.3 -0.4 1.8 -1.1 -0.4 -0.3 -1.2 0 -0.1 0.1 0 -1.9
2006 -0.6 0.6 -0.9 -0.3 1.2 1.2 -0.4 -0.3 0 -0.7 0.2 0 0.1
2007 0 -0.7 0.8 -0.2 0.3 0.6 -1.2 0.4 -1 0.4 1 0 0.4
2008 2 -2.2 0.2 1.9 -0.4 -1.5 0.3 0.3 0.9 0.7 -5.3 3 -0.2
2009 -0.8 -0.6 -3.6 5.4 -2.8 2.4 0.8 -3.1 0.9 -0.6 1.8 -0.1 -0.7
2010 1 2.7 -0.9 -0.1 0.5 -0.4 -1 1.1 1 1.1 -0.7 2.4 6.8
2011 -0.3 0.6 -0.1 0.5 -0.2 0 2 0.5 0.3 0.7 -1.3 0.4 3
2012 -0.1 0.3 1.1 0.6 -0.1 0.2 0.1 -0.7 -0.2 1.1 -0.7 0.3 2
2013 -0.1 -0.5 -0.2 0.1 -2 0.8 -0.6 -0.6 1 -1.4 0.1 1.7 -1.7
2014 0.3 0 0.4 -0.4 0.2 0.1 0.1 1.2 -0.2 0.3 -0.4 0.1 1.7
2015 0.1 0.2 0.3 0.5 0.5 0.1 1 -0.3 0 0.4 0.6 1.2 4.7
2016 -0.6 4 2.9 -0.6 0.5 -0.7 0.3 -0.2 1.2 -0.6 -0.7 1.2 6.7
2017 0.6 -0.3 1.2 0.5 -0.4 0.3 -1 0.7 0.6 -0.5 0 0.3 1.9
2018 -0.2 -0.2 0.1 0.9 -0.9 -0.7 1.9 0.2 0.2 1.6 1.7 -0.4 4.3
2019 1.6 -1 0.1 0.2 0.6 0.5 1.4 0.6 0.3 0 -0.1 -0.3 4.2
2020 -0.2 -4.6 -6.7 -0.9 1.2 2.2 -0.4 2.7 1.4 -0.8 0.6 -0.2 -6
2021 0.6 2.5 -0.1 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  13.5 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  13.6 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  13.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  13.4 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  13.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  13.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart